Pricing of defaultable options with multiscale generalized Heston's stochastic volatility.
Min-Ku LeeJeong-Hoon KimPublished in: Math. Comput. Simul. (2018)
Keyphrases
- multiscale
- option pricing
- stock price
- financial markets
- black scholes model
- scale space
- stock market
- edge detection
- double exponential
- wavelet transform
- image representation
- stochastic model
- optimal control problems
- monte carlo
- stock index futures
- image processing
- image fusion
- long term
- stochastic optimization
- multiresolution
- stock trading
- filter bank